Equity Analyst, Event-driven, Quiddity Advisors

Janaghan Jeyakumar, CFA

Equity Analyst, Event-driven

Quiddity Advisors

Pan-Asia Catalysts/Events

Event-Driven

Shanghai Rural Commercial Bank / Event-Driven

<ul>
<li>CSI 300 represents the 300 largest stocks by market capitalization and liquidity from the entire universe of Shanghai and Shenzhen Stock Exchanges. CSI 500 represents the next largest 500 names.</li>
<li>In this insight, we take a look at the potential ADDs/DELs for the CSI 300 and CSI 500 rebalance in June 2024.</li>
<li>Since my <a href="https://www.smartkarma.com/insights/quiddity-leaderboard-csi-300-500-jun-24-109-flow-names-us-2-3bn-one-way" target="_blank" rel="noopener">December 2023 insight</a>, a couple of names have left the CSI 300 Expected ADDs basket and have been replaced by two other names. </li>
</ul>


CSI 300 represents the 300 largest stocks by market capitalization and liquidity from the entire universe of Shanghai and Shenzhen Stock Exchanges. CSI 500 represents the next largest 500 names.
In this insight, we take a look at the potential ADDs/DELs for the CSI 300 and CSI 500 rebalance in June 2024.
Since my December 2023 insight, a couple of names have left the CSI 300 Expected ADDs basket and have been replaced by two other names. 


Quiddity Leaderboard CSI 300/​​500 Jun 24: Some Changes in Rankings; US$2.3bn One-Way

<ul>
<li>CSI 300 represents the 300 largest stocks by market capitalization and liquidity from the entire universe of Shanghai and Shenzhen Stock Exchanges. CSI 500 represents the <em>next</em> largest 500 names.</li>
<li>In this insight, we take a look at the potential ADDs/DELs for the CSI 300 and CSI 500 rebalance in June 2024.</li>
<li>At present, I see 10 ADDs/DELs for the CSI 300 index and 50 ADDs/DELs for the CSI 500 index.</li>
</ul>


CSI 300 represents the 300 largest stocks by market capitalization and liquidity from the entire universe of Shanghai and Shenzhen Stock Exchanges. CSI 500 represents the next largest 500 names.
In this insight, we take a look at the potential ADDs/DELs for the CSI 300 and CSI 500 rebalance in June 2024.
At present, I see 10 ADDs/DELs for the CSI 300 index and 50 ADDs/DELs for the CSI 500 index.


Quiddity Leaderboard CSI 300/​​500 Jun 24: 109 Flow Names; US$2.3bn One-Way

Shanghai Electric Group Company / Event-Driven

<ul>
<li>CSI 300 represents the 300 largest stocks by marketcap and liquidity from the Shanghai and Shenzhen Exchanges. CSI 500 is the next 500. There is subjectivity.</li>
<li>Here we look at potential ADDs/DELs for the CSI 300/500 rebalance in June 2024. With 93% of time passed, I expect 11 changes for CSI300, 50 for CSI 500. </li>
<li>Some names have changed since my last insight, but the long/short trades recommended eight weeks ago gained 11.26% since. We make small changes this time.</li>
</ul>


CSI 300 represents the 300 largest stocks by marketcap and liquidity from the Shanghai and Shenzhen Exchanges. CSI 500 is the next 500. There is subjectivity.
Here we look at potential ADDs/DELs for the CSI 300/500 rebalance in June 2024. With 93% of time passed, I expect 11 changes for CSI300, 50 for CSI 500. 
Some names have changed since my last insight, but the long/short trades recommended eight weeks ago gained 11.26% since. We make small changes this time.


Quiddity Leaderboard CSI 300/​​500 Jun 24: SHORTs Down 11% Vs Index Since Mid-Feb; Change the Hedge

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Shenzhen New Industries Biomedical Engineering-A / Event-Driven

Shenzhen New Industries Biomedical Engineering-A

<ul>
<li>With 85% of the review period complete, we see 11 changes for the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a> in June.</li>
<li>We estimate one-way turnover of 1.2% at the rebalance leading to a one-way trade of CNY 7.3bn (US$1bn). There are a lot of stocks with multiple days ADV to trade.</li>
<li>The potential adds have outperformed the potential deletes despite large flows from the National Team into ETFs tracking the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a>. That support for the potential deletes will reverse.</li>
</ul>


With 85% of the review period complete, we see 11 changes for the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) in June.
We estimate one-way turnover of 1.2% at the rebalance leading to a one-way trade of CNY 7.3bn (US$1bn). There are a lot of stocks with multiple days ADV to trade.
The potential adds have outperformed the potential deletes despite large flows from the National Team into ETFs tracking the CSI 300 Index. That support for the potential deletes will reverse.


CSI300 Index Rebalance Preview: Potential Adds Outperforming Despite ETF Inflows

Xinjiang Tianshan Cement A / Event-Driven

<ul>
<li>CSI 300 represents the 300 largest stocks by market capitalization and liquidity from the entire universe of Shanghai and Shenzhen Stock Exchanges. CSI 500 represents the next largest 500 names.</li>
<li>In this insight, we take a look at the potential ADDs/DELs for the CSI 300 and CSI 500 rebalance in June 2024.</li>
<li>There are some changes to the list of expected ADDs/DELs since I published my last insight on this roughly a month ago.</li>
</ul>


CSI 300 represents the 300 largest stocks by market capitalization and liquidity from the entire universe of Shanghai and Shenzhen Stock Exchanges. CSI 500 represents the next largest 500 names.
In this insight, we take a look at the potential ADDs/DELs for the CSI 300 and CSI 500 rebalance in June 2024.
There are some changes to the list of expected ADDs/DELs since I published my last insight on this roughly a month ago.


Quiddity Leaderboard CSI 300/​​500 Jun 24: Exp. One-Way Flow Tops US$3bn Due to Passive AUM Surge

China

Shanghai Rural Commercial Bank Co., Ltd. operates banking businesses. The Company offers deposits, loans, settlement, wealth management, investment, and online banking services. Shanghai Rural Commercial Bank also conducts credit guarantee and safe deposit box businesses.

Shanghai Rural Commercial Bank (601825 CH)

Shanghai Rural Commercial Bank (601825 CH)

Quiddity Leaderboard CSI 300/500 Jun 24: Some Changes in Rankings; US$2.3bn One-Way

Collectively, the CSI 300 and CSI 500 expected changes basket can result in ~US$2.3bn index flows one-way. Around 70% of the reference period is...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard CSI 300/500 Jun 24: 109 Flow Names; US$2.3bn One-Way

Roughly 60% of the reference period for the June 2024 rebalance is now complete. I see 109 unique names involved in index changes collectively...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard CSI 300/500 Jun 24: SHORTs Down 11% Vs Index Since Mid-Feb; Change the Hedge

I estimate one-way flows of US$1.45bn for the CSI 300 rebalance and US$2.35bn for the CSI 500 rebalance in June 2024. These estimates could still...

Janaghan Jeyakumar, CFA

CSI300 Index Rebalance Preview: Potential Adds Outperforming Despite ETF Inflows

The adds have outperformed the deleted by over 10% in the last month. Coming up to the end of the review period, there could be further positioning.

Brian Freitas

Quiddity Leaderboard CSI 300/500 Jun 24: Exp. One-Way Flow Tops US$3bn Due to Passive AUM Surge

Significant amounts of new passive money has flowed into the CSI 300 and CSI 500 index resulting in a sharp increase in our one-way flow...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard CSI 300/​​500 Jun 24: Some Changes in Rankings; US$2.3bn One-Way

Collectively, the CSI 300 and CSI 500 expected changes basket can result in ~US$2.3bn index flows one-way. Around 70% of the reference period is...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard CSI 300/​​500 Jun 24: 109 Flow Names; US$2.3bn One-Way

Roughly 60% of the reference period for the June 2024 rebalance is now complete. I see 109 unique names involved in index changes collectively...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard CSI 300/​​500 Jun 24: SHORTs Down 11% Vs Index Since Mid-Feb; Change the Hedge

I estimate one-way flows of US$1.45bn for the CSI 300 rebalance and US$2.35bn for the CSI 500 rebalance in June 2024. These estimates could still...

Janaghan Jeyakumar, CFA

CSI300 Index Rebalance Preview: Potential Adds Outperforming Despite ETF Inflows

The adds have outperformed the deleted by over 10% in the last month. Coming up to the end of the review period, there could be further positioning.

Brian Freitas

Quiddity Leaderboard CSI 300/​​500 Jun 24: Exp. One-Way Flow Tops US$3bn Due to Passive AUM Surge

Significant amounts of new passive money has flowed into the CSI 300 and CSI 500 index resulting in a sharp increase in our one-way flow...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard CSI 300/500 Jun 24: Some Changes in Rankings; US$2.3bn One-Way

Quiddity Leaderboard CSI 300/500 Jun 24: 109 Flow Names; US$2.3bn One-Way

Quiddity Leaderboard CSI 300/500 Jun 24: SHORTs Down 11% Vs Index Since Mid-Feb; Change the Hedge

Quiddity Leaderboard CSI 300/500 Jun 24: Exp. One-Way Flow Tops US$3bn Due to Passive AUM Surge